OFFSETS INVOLVING COMMERCIAL AND CORPORATE DEBT SECURITIES AND RELATED INSTRUMENTS

5621. Commercial and corporate debt securities of same issuer with same maturity band

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    1. Where a Dealer Member or a client has the following pairing:

       

      Long (short) position

       

      Short (long) position

      (i)

      highly rated non‑convertible commercial 
      and corporate debt securities

      and

      highly rated non‑convertible commercial and corporate debt securities of the same issuer

      and the positions have the same currency denomination and market value and are within the same maturity band, the two positions may be offset and the minimum margin required for both positions may be computed as the greater of the margins normally required on the long (or short) and the short (or long) positions.

    2. In subsection 5621(1) highly rated non-convertible commercial and corporate debt securities” are non‑convertible commercial and corporate debt securities currently rated “A” or higher by DBRS, Moody’s or S&P Corporation.

    There is no history log for this rule.

    There is no history log for this rule.